When I rode duens, I just changed my filter every day or two. OEM filters with plenty of filter oil (bell ray). I also used PC filter skins (oiled). Outwares makes pre-filters as well (theirs are completly different than the PC filter skins). A few other companies sell re-branded outwares pre-filters as well. Check in the most recent crapperell catilog. Also, make sure your air box/boot/carb/reed cage connections are well seald and use plenty of grease on the filter lip.
Also, don't waste your time with knobbies in the dunes, get a ching chin paddle tire (<$50). It makes a world of difference, especially if you don't have a lot of power to spare. For a KDX don't go more than 8 paddles. A 250 works well with 8 and can pull 10 if you want. A 500 does really well with 10. I'd probably go with a 6 on a 125 or smaller. The cheep ching chin paddle tire works much better than the $$$ skat track tires imho (the paddles are molded in like a normal tire rather than being glued on like a skat track). I saw many people loose paddles from Skat track tires during my 1-month stint in the dunes. For turns, keep the power on and don't be afraid to lean it over and move some sand:)